k****e
发帖数: 23 | 1 portfolio由两个stock (A, B)组成, 以下是信息:
arithmetic mean return: Ra Rb
geometric mean return: Ga Gb
standard deviation: Ta Tb
Correlation: p
Weight: Wa, Wb
Portfolio arithmetic mean return = Ra * Wa + Rb * Wb
请问: 怎么算 Portfolio geometric mean return? | q****x
发帖数: 7404 | 2 geo mean return is for different time period bah?
【在 k****e 的大作中提到】
: portfolio由两个stock (A, B)组成, 以下是信息:
: arithmetic mean return: Ra Rb
: geometric mean return: Ga Gb
: standard deviation: Ta Tb
: Correlation: p
: Weight: Wa, Wb
: Portfolio arithmetic mean return = Ra * Wa + Rb * Wb
: 请问: 怎么算 Portfolio geometric mean return?
| z****t
发帖数: 78 | 3 ((WaGa^n + WbGb^n)/(Wa+Ga))^(-n) - 1. Follow the definition of geometric
mean return. |
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